Monthly Archives: October 2012

Here is the hypothesis: if SPY rallies from the open and until the last hour, can we make money by going long one hour before the close and exit on the close? Previously I have written about the different periods of the trading day: At what time of day does SPY set high and low? […]

Being a daytrader is a struggle, so I have lately broken down the trading day into performance during the first hour, the middle of the day and the last hour. Previously I have written two articles about when SPY establishes the high and low during the trading day: At what time of day does SPY […]

Yesterday (on the 23rd) SPY closed below the previous day’s 5 day low. Even more, SPY gapped down and never traded over the previos day’s low. Some days back I wrote an article about a possible strategy to buy SPY when it closed below the prevoius day’s 5 day low. That strategy is in my […]

Once in a while I receive e-mails about which firm I trade for. As I have written many times I trade both prop and retail. All my daytrades are done in a prop account (Nevis Trading), and overnight strategies are done in Interactive Brokers. Echotrade LLC From 2001 until July 2011 I traded with Echotrade. […]

I’m testing a lot of mean reversion strategies to find the most suitable one. Here is another twist: Todays close must be lower than 0.25 in this formula: (c-l)/(h-l) The close must be lower than the lowest the previous 5 days. If those two simple criteria are met, go long at close. Exit is at […]

I have previously written to articles about when SPY sets high and low during the day: At what time of day sets SPY high and low? Intraday high and low in SPY by weekday I’m trying to find something tradeable out of these simple numbers but it’s not easy. However, the “boring” buying on weakness […]

In a previous article I wrote about when SPY sets a high/low. But is there any difference separated by weekday? Here is the number from January 2010 until 1st og August 2012: #Number High Low High Low of days First hour First hour Last hour Last hour Monday 119 44 43 29 29 Tuesday 135 […]

After ten years of daytrading, I have experienced the expensive way the importance of good data. The famous saying “garbage in, garbage out” is indeed true. I have probably lost tens of thousand dollars on trading strategies that is based on “garbage”. Sad but true. Problem is, there is not much you can do about […]

I decided to look more into opening gaps in SPY (S&P 500). After all, a lot of traders claim to make good money on this strategy, at least according to my search on the web. For me this is unknown territory as up until this date I have only been daytrading stocks, and my experience […]

I believe experience is the most important asset for any speculator. It’s simple: the longer you survive, the fitter and stronger you get, and thus more fit to prey on other weaker players in the market. Experience will minimize overconfidence and ego. The markets are just like Darwin’s theory. But do individual investors learn from […]

One of my favourite “formulas” to look at in mean reverting instruments is this formula: (HIGH-CLOSE)/(HIGH-LOW) This simple formula increases the odds a lot, in my experience. Here is an example: Enter at close if the above formula is less than 0.5: The blue line is the accumulated return in percent buying every close and […]

Three german researchers have written a study called Is Poker a Game of Skill or Chance? A Quasi-Experimental Study. I was made aware of this article in Peter Warrens blog (only in Norwegian). I totally agree with the content. Most traders have too much confidence and are too full of ego. Overconfidence is a traders […]

This research paper had an interesting look into gaps down in stocks (www.mta.org/eweb/docs/pdfs/2011-dowaward.pdf, thanks to Richard for making me aware of this report). I recommend reading it. I have no knowledge of the people who has made it, but I tried to some twists in the same direction myself. I made my own strategy more […]

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